"The Wind Cries Mary" is originally a 1967 single by The Jimi Hendrix Experience.

Beck has covered the song twice. The first night was a radio show in Chicago (The Windy City), and Beck, his band and MGMT got together for a long set. They somewhat amusingly performed a setlist of cover songs, all about wind.

The same groups then played it together during Beck's set a few nights later at a show in Montreal.

I'm not aware of any bootlegs of either show, unfortunately (it's unclear if that Chicago radio show actually ever aired).